1) Will I need a MIDI thru box to link these
That depends on whether or not you will be controlling one of the devices by more than one of the other devices at the same time.
In what configuration do you want to connect the devices?
2) How do I determine/ set one component to be the master clock
You will need to look in the User Guide for each device. Not all devices will produce timing information and not all devices will respond to timing information. Those that do will have documentation telling you how to configure the device accordingly.